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st: RE: kclass estimators, xtivreg2


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: kclass estimators, xtivreg2
Date   Mon, 5 Mar 2007 23:00:29 -0000

Alejandro,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Alejandro Quijada
> Sent: 28 February 2007 13:32
> To: statalist@hsphsun2.harvard.edu
> Subject: st: kclass estimators, xtivreg2
> 
> Dear statalist members,
> 
> Since I have a panel dataset with a problem of errors in 
> variables (EV), I wanted to use the class of estimators 
> proposed by Verbeek and Nijman (1993) and Deaton (1985) which 
> try to correct this kind of problem. Adopting the notation of 
> Verbeek and Nijman (1993), the estimator is given by:
> 
> B(alpha) = (mxy - alpha*sigma)/(Mxx - alpha*omega)
> 
> Where Omega and sigma represent the structure on the 
> measurement errors. The correction parameter alpha for 
> Verbeek and Nijman is aproximately T-1/T, while Deaton' 
> correction parameter would be a constant alpha=1.
> 
> I think xtivreg2 is the indicated stata command to implement 
> these two estimators, since it has the kclass option where 
> you can put the correction parameter like fuller's option 
> does. So, translating these two parameters into xtivreg2's 
> language, I think they would be kclass=1 + (T-1/T) for 
> Verbeek and Nijman and kclass=2 for Deaton. Is that right? if 
> not, could you please guide me? I use stata 8.2.

It's hard to tell without more detail (usually on Statalist you are encouraged to provide fuller references and discussion - you can't count on everybody knowing this literature).  But you are right that xtivreg2 supports k-class estimation such as Fuller's LIML, Nagar's bias-corrected IV estimator, etc.  If so, then you can get the results you want using the -kclass- option ... but it's up to you to make sure that the -kclass- parameter is correctly specified.

One alternative if you're not sure is to replicate some published results that use these estimators.

HTH.

Cheers,
Mark

> Thank you very much for your help
> 
> Best regards,
> 
> Susana
> 
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